Modelling financial markets by the multiplicative sequence of trades

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We introduce the stochastic multiplicative point process modelling trading activity of financial markets. Such a model system exhibits power-law spectral density S(f) ~ 1/f**beta, scaled as power of frequency for various values of beta between 0.5 and 2. Furthermore, we analyze the relation between the power-law autocorrelations and the origin of the power-law probability distribution of the trading activity. The model reproduces the spectral properties of trading activity and explains the mechanism of power-law distribution in real markets.
6 pages, 2 figures

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Statistical Mechanics, Computational Engineering, Finance, and Science, Spectral Theory, Data Analysis, Statistics and Probability, Statistical Finance

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http://salesiana.dossiersoluciones.com/handle/123456789/208840

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/cond-mat/0412723
 http://arxiv.org/abs/cond-mat/0412723
 Gontis V., Kaulakys B., Physica A 344 (2004) 128-133
 doi:10.1016/j.physa.2004.06.153

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arXiv